| Presentation | 2021-03-03 ［招待講演］株価の残差リターンに注目した深層学習ポートフォリオ最適化 Kentaro Imajo, Kentaro Minami, Katsuya Ito, Kei Nakagawa, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | Developing a profitable trading strategy is a central problem in the financial industry. In this presentation, we develop a technique for portfolio construction based on residual returns, which is a financial quantity obtained by hedging out common market factors in stock market. Our proposed method extracts information about residual factors by a simple spectral decomposition method. We also propose a novel neural network architecture that reflects well-known scale invariance structures of financial time series. We show the effectiveness of our proposed method by numerical experiments on U.S. and Japanese stock market data. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | finance / deep learning / time-series prediction |
| Paper # | IBISML2020-46 |
| Date of Issue | 2021-02-23 (IBISML) |
| Conference Information | |
| Committee | IBISML |
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| Conference Date | 2021/3/2(3days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Online |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Organized and general sessions on machine learning |
| Chair | Ichiro Takeuchi(Nagoya Inst. of Tech.) |
| Vice Chair | Masashi Sugiyama(Univ. of Tokyo) / Koji Tsuda(Univ. of Tokyo) |
| Secretary | Masashi Sugiyama(AIST) / Koji Tsuda(NTT) |
| Assistant | Atsuyoshi Nakamura(Hokkaido Univ.) / Shigeyuki Oba(Miidas) |
| Paper Information | |
| Registration To | Technical Committee on Infomation-Based Induction Sciences and Machine Learning |
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| Language | JPN-ONLY |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | |
| Sub Title (in English) | |
| Keyword(1) | finance |
| Keyword(2) | deep learning |
| Keyword(3) | time-series prediction |
| 1st Author's Name | Kentaro Imajo |
| 1st Author's Affiliation | Preferred Networks, Inc.() |
| 2nd Author's Name | Kentaro Minami |
| 2nd Author's Affiliation | Preferred Networks, Inc.() |
| 3rd Author's Name | Katsuya Ito |
| 3rd Author's Affiliation | Preferred Networks, Inc.() |
| 4th Author's Name | Kei Nakagawa |
| 4th Author's Affiliation | Nomura Asset Management, Co., Ltd.() |
| Date | 2021-03-03 |
| Paper # | IBISML2020-46 |
| Volume (vol) | vol.120 |
| Number (no) | IBISML-395 |
| Page | pp.pp.38-38(IBISML), |
| #Pages | 1 |
| Date of Issue | 2021-02-23 (IBISML) |